Backtesting Trading Strategies with GAN To Avoid Overfitting

碩士 === 國立臺灣大學 === 資訊工程學研究所 === 106 === Many works have shown the overfitting hazard of selecting a trading strategy based only on good IS (in sample) performance. But most of them have merely shown such phenomena exist without offering ways to avoid them. We propose an approach to avoid overfitting:...

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Bibliographic Details
Main Authors:	Ao Sun, 孫奧
Other Authors:	呂育道
Format:	Others
Language:	zh-TW
Published:	2018
Online Access:	http://ndltd.ncl.edu.tw/handle/232z9x

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spelling	ndltd-TW-106NTU053921142019-07-25T04:46:48Z http://ndltd.ncl.edu.tw/handle/232z9x Backtesting Trading Strategies with GAN To Avoid Overfitting 應用GAN於回測交易策略以避免過擬合 Ao Sun 孫奧碩士國立臺灣大學資訊工程學研究所 106 Many works have shown the overfitting hazard of selecting a trading strategy based only on good IS (in sample) performance. But most of them have merely shown such phenomena exist without offering ways to avoid them. We propose an approach to avoid overfitting: A good (meaning non-overfitting) trading strategy should still work well on paths generated in accordance with the distribution of the historical data. We use GAN with LSTM to learn or fit the distribution of the historical time series . Then trading strategies are backtested by the paths generated by GAN to avoid overfitting 呂育道 2018 學位論文 ; thesis 44 zh-TW
collection	NDLTD
language	zh-TW
format	Others
sources	NDLTD
description	碩士 === 國立臺灣大學 === 資訊工程學研究所 === 106 === Many works have shown the overfitting hazard of selecting a trading strategy based only on good IS (in sample) performance. But most of them have merely shown such phenomena exist without offering ways to avoid them. We propose an approach to avoid overfitting: A good (meaning non-overfitting) trading strategy should still work well on paths generated in accordance with the distribution of the historical data. We use GAN with LSTM to learn or fit the distribution of the historical time series . Then trading strategies are backtested by the paths generated by GAN to avoid overfitting
author2	呂育道
author_facet	呂育道 Ao Sun 孫奧
author	Ao Sun 孫奧
spellingShingle	Ao Sun 孫奧 Backtesting Trading Strategies with GAN To Avoid Overfitting
author_sort	Ao Sun
title	Backtesting Trading Strategies with GAN To Avoid Overfitting
title_short	Backtesting Trading Strategies with GAN To Avoid Overfitting
title_full	Backtesting Trading Strategies with GAN To Avoid Overfitting
title_fullStr	Backtesting Trading Strategies with GAN To Avoid Overfitting
title_full_unstemmed	Backtesting Trading Strategies with GAN To Avoid Overfitting
title_sort	backtesting trading strategies with gan to avoid overfitting
publishDate	2018
url	http://ndltd.ncl.edu.tw/handle/232z9x
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Backtesting Trading Strategies with GAN To Avoid Overfitting

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